library(DT)
projectPath <- "/home/william/myCodes/oiRank/"
提取期货公司持仓数据
source(paste0(projectPath,"main.R"))
主力合约的 oiRank
## TradingDay InstrumentID Rank BrokerID ClassID Amount DiffAmount chgAmount
## 1: 2011-01-05 cu1104 1 中证期货 Turnover 13042 3242 0.2485815059040
## 2: 2011-01-05 cu1104 1 中财期货 longPos 6714 110 0.0163836759011
## 3: 2011-01-05 cu1104 1 金瑞期货 shortPos 6712 76 0.0113230035757
## 4: 2011-01-05 cu1104 2 浙江永安 Turnover 8719 3386 0.3883472875330
## 5: 2011-01-05 cu1104 2 上海东亚 longPos 5269 144 0.0273296640729
## ---
## 89456: 2017-02-24 cu1704 19 兴证期货 longPos 1694 482 0.2845336481700
## 89457: 2017-02-24 cu1704 19 东海期货 shortPos 1241 388 0.3126510878324
## 89458: 2017-02-24 cu1704 20 金瑞期货 Turnover 5483 3033 0.5531643260989
## 89459: 2017-02-24 cu1704 20 中国国际 longPos 1648 -467 -0.2833737864078
## 89460: 2017-02-24 cu1704 20 新湖期货 shortPos 1146 -195 -0.1701570680628
价格数据
## TradingDay InstrumentID open high low close volume turnover oiAmount stlPrice longAmount shortAmount
## 1: 2011-01-05 cu1104 71520 71800 70810 71280 238022 84891119933 175530 71330 46966 49882
## 2: 2011-01-06 cu1104 72010 72490 71970 72020 159918 57743735161 174336 72210 45726 50696
## 3: 2011-01-07 cu1104 70800 71510 69420 69780 282776 99817052168 162254 70590 44175 46087
## 4: 2011-01-10 cu1104 70500 70650 69660 70040 158810 55675895658 164086 70110 46033 45725
## 5: 2011-01-11 cu1104 70100 71190 69920 70920 197066 69610651865 175994 70640 48396 47638
## ---
## 1482: 2017-02-13 cu1704 47800 50620 47780 50120 616476 152750689200 245852 49550 74851 84379
## 1483: 2017-02-14 cu1704 49820 50250 49660 50110 347374 86753189300 265978 49940 77684 91102
## 1484: 2017-02-15 cu1704 50090 50290 48290 48740 512812 125951072300 229176 49120 68695 81189
## 1485: 2017-02-16 cu1704 48740 49380 48510 48680 376604 92212261600 228912 48970 68663 80902
## 1486: 2017-02-17 cu1704 48600 48960 48170 48360 375026 91148098400 227192 48600 68524 81188
## netAmount lead_1d_Close lead_5d_Close lead_1d_Rtn lead_5d_Rtn
## 1: -2916 72020 71360 0.010381593714927 0.00112233445567
## 2: -4970 69780 71690 -0.031102471535685 -0.00458206053874
## 3: -1912 70040 71550 0.003725995987389 0.02536543422184
## 4: 308 70920 71290 0.012564249000571 0.01784694460308
## 5: 758 71360 72000 0.006204173716864 0.01522842639594
## ---
## 1482: -9528 50110 48770 -0.000199521149242 -0.02693535514765
## 1483: -13418 48740 48920 -0.027339852324885 -0.02374775493913
## 1484: -12494 48680 48660 -0.001231021748051 -0.00164136233073
## 1485: -12239 48360 48390 -0.006573541495481 -0.00595727198028
## 1486: -12664 48770 47760 0.008478081058726 -0.01240694789082
p <- ggplot(dt, aes(TradingDay,close)) +
geom_line(color = 'steelblue')
ggplotly(p)
source("/home/william/myCodes/myFunctions/gMeanPlot.R")
gMeanPlot(dt, x = 'netAmount', y = 'lead_5d_Rtn'
,xgn = 40, ygn = 1, xtype = 'continuous',
title = paste('5-days leading Return vs netAmount',':==>',bkTestingProduct))
关联上下游上市公司
projectPath <- "/home/william/myCodes/oiRank/"
source(paste0(projectPath,"R/oiRank_AshareCompany.R"))
## [1] "Correlation of Close Price"
## stockID stockName IndustryID corClose corRtn_1d corRtn_5d
## 1: 000960.SZ 锡业股份 upStream 0.778507596451 0.3374221114507 0.28323220200240
## 2: 601958.SH 金钼股份 upStream 0.784394197823 0.2854219009449 0.25730999053682
## 3: 000622.SZ *ST恒立 downStream -0.790418769661 0.1064792149194 0.00155525542239
## 4: 002617.SZ 露笑科技 downStream -0.851984152682 0.1540363047274 0.08469810668714
## 5: 002636.SZ 金安国纪 downStream -0.775300017343 0.0964560811976 0.01697523975816
## 6: 002670.SZ 国盛金控 downStream -0.817762132701 0.1248304212343 0.01101132231098
## 7: 002686.SZ 亿利达 downStream -0.803162842881 0.0648296173707 0.04583840849389
## 8: 300222.SZ 科大智能 downStream -0.787794761092 0.0747955383047 0.03031561083870
## 9: 300252.SZ 金信诺 downStream -0.815718387499 0.1182727857431 0.08442591578664
## 10: 300585.SZ 奥联电子 downStream 0.843227221715 0.0939051445246 0.08032421549158
## [1] "Correlation of Return on Close Price"
## stockID stockName IndustryID corClose corRtn_1d corRtn_5d
## 1: 000630.SZ 铜陵有色 upStream 0.622112373139 0.4200203625422 0.4010666922938
## 2: 000878.SZ 云南铜业 upStream 0.556430967725 0.3795281436133 0.3051866439300
## 3: 000960.SZ 锡业股份 upStream 0.778507596451 0.3374221114507 0.2832322020024
## 4: 600497.SH 驰宏锌锗 upStream 0.687385575274 0.3298276740626 0.3506396245171
## 5: 601168.SH 西部矿业 upStream 0.668606943499 0.3105734195787 0.2600905328074
## 6: 601958.SH 金钼股份 upStream 0.784394197823 0.2854219009449 0.2573099905368
## 7: 002639.SZ 雪人股份 downStream -0.763056517650 0.0529934905512 0.0647732775467
## 8: 002647.SZ 宏磊股份 downStream -0.589995244343 0.0553637011878 0.0401820625585
## 9: 002686.SZ 亿利达 downStream -0.803162842881 0.0648296173707 0.0458384084939
## 10: 002778.SZ 高科石化 downStream 0.376647166181 -0.0227584367890 -0.0336813481221
## 11: 603186.SH 华正新材 downStream 0.703782292487 -0.0555953059805 -0.2367598387633
期货公司持仓变化
## [1] "Correlation of Change in LongPosition and nDay Return"
## [1] "Correlation of Change in ShortPosition and nDay Return"
## [1] "Correlation of Change in LongPosition and nDay Return"
## [1] "Correlation of Change in ShortPosition and nDay Return"
期货公司持仓相对强弱
## totalLongPos totalShortPos
## 1: 3.25431341049 3.21779037387